Double MA Strategy
2 Jul, 2019 - 30 Apr, 2020

Generated by QuantStats (v. 0.0.25)

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	91.0%

Cumulative Return	3.54%
CAGR%	4.3%
Sharpe	0.02
Sortino	0.03
Max Drawdown	-4.11%
Longest DD Days	194
Volatility (ann.)	0.2%
Calmar	1.05
Skew	3.14
Kurtosis	427.42

Expected Daily %	0.0%
Expected Monthly %	0.35%
Expected Yearly %	1.76%
Kelly Criterion	0.27%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.02%
Expected Shortfall (cVaR)	-0.02%

Payoff Ratio	1.04
Profit Factor	1.01
Common Sense Ratio	1.04
CPC Index	0.51
Tail Ratio	1.03
Outlier Win Ratio	5.49
Outlier Loss Ratio	4.51

MTD	-0.61%
3M	3.8%
6M	3.27%
YTD	4.51%
1Y	3.54%
3Y (ann.)	4.3%
5Y (ann.)	4.3%
10Y (ann.)	4.3%
All-time (ann.)	4.3%

Best Day	0.87%
Worst Day	-0.66%
Best Month	1.96%
Worst Month	-1.76%
Best Year	4.51%
Worst Year	-0.92%

Avg. Drawdown	-0.14%
Avg. Drawdown Days	1
Recovery Factor	0.86
Ulcer Index	inf

Avg. Up Month	0.96%
Avg. Down Month	-1.06%
Win Days %	49.21%
Win Month %	70.0%
Win Quarter %	50.0%
Win Year %	50.0%

EOY Returns

Year	Return	Cumulative
2019	-0.88%	-0.92%
2020	4.52%	4.51%

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2019-08-13	2020-02-24	-4.11	194
2020-03-25	2020-04-30	-2.67	35
2020-03-13	2020-03-17	-1.80	4
2020-03-02	2020-03-09	-1.52	6
2020-03-18	2020-03-23	-1.36	5
2020-03-17	2020-03-18	-1.08	1
2020-03-23	2020-03-25	-1.07	1
2019-08-07	2019-08-13	-0.89	5
2019-07-19	2019-08-02	-0.76	13
2020-03-11	2020-03-12	-0.71	1